How to develop a VSE file format importer for DNG + CR2 image files?
First off blender seems to read CR2 files without issue, at least with the few samples I downloaded. It could read more data, that is blender loads one of the samples I have in the natural resolution, while the OpenImageIO file viewer automatically rotates it to match the rotation of the camera. Blender's file browser will filter out CR2 files by default but if you disable the filter and select a CR2 file it will read it. Adding CR2 to the list of available file formats is all that is needed here. Once loaded blender says the CR2 file has a TIFF file_format. This would be a minor change that should be accepted as a bug report, test with a variety of files to make sure first.

For DNG, blender only sees the thumbnail - or the thumbnail is found first and mistakenly read as the image data. (if you have one without a thumbnail try it).

From what I have read, DNG is a variation of TIFF/EP so I see two options, first is to adjust blender's TIFF reading code, the other is to use OpenImageIO to read DNG files. The image viewer built as part of OpenImageIO can read the sample DNG files that I have found, so this may be a viable option for adding support. For reference using OpenImageIO to read PSD files was added here, it is possible that this code added for PSD may only need minor changes to also work with DNG.

I'm not sure this will be considered an acceptable bug report as it is adding support for a new file format. You may want to add DNG image support to the requests page or you could talk to some of the developers at #blendercoders on IRC to see if someone is interested in adding this image support, unless you want to submit a patch for it yourself.

Update:

A quick test with just adding to the file suffix list shows that telling blender to use OpenImageIO to open DNG and CR2 files works. Simply adding the file suffixes to the code used for PSD files allows DNG and CR2 files to be opened. As mentioned at the start this brings in CR2 files rotated based on image metadata the same as opening the images using iv. Images opened this way report their file_format as JPEG so further work to distinguish DNG and CR2 files from PSD and JPEG will be needed but should be minimal.